I know I've griped about some of the odd-out things in Oblivion. But, to be perfectly honest, I can handle a lot of things if the overall picture made more sense. OB just kept rubbing me the wrong way in that reguard.
#1 thing for me for any TES game-
Make it feel reasonable. Yes, be interesting. Just don't throw everyday sensibility out the window like that. Don't forget that even a fictional magic world doesn't have cameras, copiers, has no 9 o'clock news, etc. Nobody has a cell phone, etc. Don't have NPCs tell me I have the hands of a smith when I'm always wearing gauntlets, etc. etc..... Sensibility, please.
Three things that I really liked in Oblivion:
1. The world map. Every dungeon, city or place getting marked on the map once you found it was excellent. Dropping Morrowind's "color in the map" shceme was a good idea IMO.
2. Background music. Never turned it off.
3. Atmosphere. Good countryside. Nice, moody dungeons. Even found a lonely-looking graveyard out in the wilderness. Good show.
Three things that might need a little consideration for the future:
1. Daggerfall had a better fast travel system where you can opt to arrive at a place in daytime. In Oblivion, I'm always arriving in town late at night. Have to wait for NPCs and shops. Little thing, but worth consideration.
2. Bigger thing; Options. More options and flexibility. More spell effects, more options for enchanting, more factions, different ways to do quests, more ways of dealing with your stats and skills and all that. Don't have to have it all this crap. Just have more options. Just about every previous TES game had more options in one way or the other. It gives more ways to enjoy a game, other than just the way the designer intended.
3. Humble personal request; Keep the action aspect in the TES games, yeah, just don't forget about less reflex oriented svckers like me.